哈尔滨商业大学学报（自然科学版）Issue(1)：109-113,5.
基于均值-方差准则下的套期保值问题研究
Mean-variance hedging problem as stock price follows jump-diffusion process
摘要
Abstract
As the significant information occurs , the stock price has discontinuous jump .This paper extended the mean-variance hedging problem to the jump-diffusion model .Some BS-DEs were introduced , the optimal control can be obtained .Through the solutions of those BSDEs , obtained the optimal hedging strategy of the mean-variance hedging problem .关键词
均值-方差/最优控制/BSDE/跳跃-扩散过程/套期保值策略Key words
mean-variance/optimal control/BSDE/jump-diffusion/hedging strategy分类
数理科学引用本文复制引用
刘峰,刘宣会..基于均值-方差准则下的套期保值问题研究[J].哈尔滨商业大学学报（自然科学版）,2014,(1):109-113,5.基金项目
陕西省教育厅科研计划项目资助（2013JK0594）． （）
